E-mini S&P 500 Future September 2010


Trading Metrics calculated at close of trading on 02-Jul-2010
Day Change Summary
Previous Current
01-Jul-2010 02-Jul-2010 Change Change % Previous Week
Open 1,024.50 1,022.25 -2.25 -0.2% 1,074.25
High 1,029.75 1,032.50 2.75 0.3% 1,079.75
Low 1,006.00 1,010.75 4.75 0.5% 1,006.00
Close 1,021.75 1,014.25 -7.50 -0.7% 1,014.25
Range 23.75 21.75 -2.00 -8.4% 73.75
ATR 24.58 24.38 -0.20 -0.8% 0.00
Volume 2,622,061 3,354,900 732,839 27.9% 13,227,980
Daily Pivots for day following 02-Jul-2010
Classic Woodie Camarilla DeMark
R4 1,084.50 1,071.00 1,026.25
R3 1,062.75 1,049.25 1,020.25
R2 1,041.00 1,041.00 1,018.25
R1 1,027.50 1,027.50 1,016.25 1,023.50
PP 1,019.25 1,019.25 1,019.25 1,017.00
S1 1,005.75 1,005.75 1,012.25 1,001.50
S2 997.50 997.50 1,010.25
S3 975.75 984.00 1,008.25
S4 954.00 962.25 1,002.25
Weekly Pivots for week ending 02-Jul-2010
Classic Woodie Camarilla DeMark
R4 1,254.50 1,208.25 1,054.75
R3 1,180.75 1,134.50 1,034.50
R2 1,107.00 1,107.00 1,027.75
R1 1,060.75 1,060.75 1,021.00 1,047.00
PP 1,033.25 1,033.25 1,033.25 1,026.50
S1 987.00 987.00 1,007.50 973.25
S2 959.50 959.50 1,000.75
S3 885.75 913.25 994.00
S4 812.00 839.50 973.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,079.75 1,006.00 73.75 7.3% 25.00 2.5% 11% False False 2,645,596
10 1,129.50 1,006.00 123.50 12.2% 23.75 2.3% 7% False False 2,409,580
20 1,129.50 1,006.00 123.50 12.2% 22.25 2.2% 7% False False 1,962,781
40 1,170.00 1,006.00 164.00 16.2% 27.25 2.7% 5% False False 989,494
60 1,211.50 1,006.00 205.50 20.3% 25.50 2.5% 4% False False 660,391
80 1,211.50 1,006.00 205.50 20.3% 21.75 2.1% 4% False False 495,546
100 1,211.50 1,006.00 205.50 20.3% 19.75 1.9% 4% False False 396,448
120 1,211.50 1,006.00 205.50 20.3% 18.50 1.8% 4% False False 330,381
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 7.28
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,125.00
2.618 1,089.50
1.618 1,067.75
1.000 1,054.25
0.618 1,046.00
HIGH 1,032.50
0.618 1,024.25
0.500 1,021.50
0.382 1,019.00
LOW 1,010.75
0.618 997.25
1.000 989.00
1.618 975.50
2.618 953.75
4.250 918.25
Fisher Pivots for day following 02-Jul-2010
Pivot 1 day 3 day
R1 1,021.50 1,025.25
PP 1,019.25 1,021.50
S1 1,016.75 1,018.00

These figures are updated between 7pm and 10pm EST after a trading day.

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